When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one … reason for why international investment in private companies has to take into account the sovereign risk. But the likelihood … of a transfer from the sovereign risk to corporate default risks may be mitigated by legal institutions that provide …

MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate … security risk loadings using real data on prepayment forecasts vs. realizations. Estimated loadings are monotonic in securities … investors. In particular, we find convincing evidence that prepayment risk prices change sign over time with the sign of a …

This paper models a firm's rollover risk generated by conflict of interest between debt and equity holders. When the …

cross section. The slope of the relation is the cross-sectional price of risk, which should equal the expected equity … premium. We use this simple observation to forecast the equity-premium time series with the cross-sectional price of risk. We … are potentially correlated with return shocks. Our empirical tests show that the cross-sectional price of risk (1) is …

and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model …

value premium is larger in %u201Cbad times,%u201D due to time variation in risk preferences; (c) the unconditional CAPM … with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … rationalizes why the conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM …

idiosyncratic income risk. These agents can trade a complete menu of contingent claims, but they cannot commit and shares in a Lucas … risk factor, in addition to aggregate consumption growth risk. This liquidity risk is created by binding solvency … constraints. The adjustment to the Breeden-Lucas stochastic discount factor induces substantial time variation in equity risk …

We demonstrate, using data for the period 1954-2003, that differences in exposure to consumption risk explains cross … calendar year return when computing the latter's exposure to consumption risk. We find strong support for our consumption risk …

, and predictability of stock returns. The key to our results is that the agent's risk-aversion changes over time as a …

evidence implies that returns of most anomalies are unexpected, and that mispricing, not risk, is the main driving force of …